Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0163
Annualized Std Dev 0.3445
Annualized Sharpe (Rf=0%) 0.0474

Row

Daily Return Statistics

Close
Observations 4039.0000
NAs 1.0000
Minimum -0.1448
Quartile 1 -0.0100
Median 0.0010
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0115
Maximum 0.1714
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0005
Stdev 0.0217
Skewness -0.2106
Kurtosis 6.0437

Downside Risk

Close
Semi Deviation 0.0157
Gain Deviation 0.0148
Loss Deviation 0.0164
Downside Deviation (MAR=210%) 0.0201
Downside Deviation (Rf=0%) 0.0156
Downside Deviation (0%) 0.0156
Maximum Drawdown 0.8784
Historical VaR (95%) -0.0333
Historical ES (95%) -0.0519
Modified VaR (95%) -0.0340
Modified ES (95%) -0.0589
From Trough To Depth Length To Trough Recovery
2007-12-27 2016-06-27 NA -0.8784 3331 2140 NA
2006-05-09 2006-09-22 2007-10-10 -0.3111 359 96 263
2005-03-08 2005-05-13 2005-07-26 -0.1889 98 48 50
2005-09-13 2005-10-27 2006-01-19 -0.1763 89 33 56
2007-11-09 2007-11-21 2007-12-10 -0.1444 21 9 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA 0 0.2 0.2 0.2 1.3 1.7 0.8 -0.1 2.7 -1.2 5.9
2006 -2.3 2.3 -0.1 1.4 2.1 1.9 -1.7 -0.2 -1.2 -2.2 -1.3 -0.9 -2.3
2007 0.8 -1.8 -0.6 -1.7 1.2 -0.4 0 2.9 1.4 -2.5 -1 -1.3 -3.2
2008 2.9 -2.2 2.8 0.2 1.6 -1.4 -0.2 -0.8 -0.3 4.3 -13.5 2.6 -5
2009 -0.5 -3.5 4.3 1 6.2 0.6 -1.6 -3.5 -5.2 -4.2 3.7 -1.3 -4.6
2010 2.7 1.7 0.4 -2.2 -2.6 0.6 -0.9 3.5 -0.4 -1.1 2.1 -0.6 3.1
2011 2.4 -2.4 -0.6 1 -3.2 1 -0.2 -2.6 -4 -4 0.4 0 -12
2012 2.4 -1 0 1.4 -2.3 3 -2.3 1 -0.5 1.3 0.5 1.2 4.7
2013 0.7 -0.5 -1.8 -2.3 -2.5 1.7 -1.4 -1.1 1.7 1.1 0.3 -0.2 -4.2
2014 -0.3 0.1 2.8 0 -1.4 0.6 -1.4 1.3 -3.2 2.9 -4.2 0.6 -2.3
2015 -0.2 -0.9 0.5 0.9 0.4 -1.7 -1.2 -2.1 -0.5 -0.4 2.4 -0.8 -3.7
2016 -0.7 -0.6 0.2 -1.5 0.3 -0.3 0.5 0.3 0.5 -0.8 -1.7 -0.8 -4.4
2017 0.2 -0.3 0.5 0.5 1 -0.2 0 0.5 0 -0.3 -0.6 -0.5 0.7
2018 -0.6 -1.3 2.3 -0.2 -0.6 0.3 0.6 0.6 0.3 2.3 -0.7 -0.5 2.4
2019 -1.2 1 1.4 0.5 -1.9 1.3 -0.1 0.2 -2.3 1.8 -0.7 0.9 0.8
2020 -1.9 0.1 -7.1 -5.8 3 0.8 -1.5 2.9 2.7 -3 -2.2 -1.1 -12.6
2021 3.6 5.2 3 NA NA NA NA NA NA NA NA NA 12.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-03-03  78.0 SPY    121.  0.0004   0.0082   0.0194   0.0167   0.0478   0.0473  -0.0908 GLD    43.0 -0.0065  -0.0083
2 2005-03-04  78.1 SPY    123.  0.0125   0.0107   0.029    0.0285   0.0581   0.0637  -0.0984 GLD    43.4  0.0095  -0.0028
3 2005-03-07  78.6 SPY    123.  0.0005   0.0179   0.0322   0.0297   0.0551   0.0517  -0.107  GLD    43.5  0.0021  -0.0011
4 2005-03-08  77.4 SPY    122. -0.0037   0.0091   0.0175   0.0262   0.0641   0.05    -0.116  GLD    44.0  0.0129   0.0187
5 2005-03-09  77.2 SPY    121. -0.0111  -0.0017   0.0075   0.0243   0.0565   0.034   -0.127  GLD    44.0 -0.0002   0.0178
6 2005-03-10  76.4 SPY    121.  0.0022   0.0002   0.0086   0.0206   0.0769   0.0341  -0.141  GLD    44.2  0.0041   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart